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Quantitative Finance · Glossary

What is Index methodology?

Definition 15.1 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 15 — Index Construction and Rebalancing

An index methodology is the published document that determines an index: the universe of eligible securities, the selection rule, the weighting rule, the calendar of reviews and the treatment of corporate actions. Selection is rules-based when the document alone determines the members, and committee-based when a committee chooses among the eligible.

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